文章基本信息

标题：What “hides” behind sovereign debt ratings?
本地全文：下载
作者：António Afonso ; Pedro Gomes ; Philipp Rother 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2007
卷号：1
出版社：European Central Bank
摘要：In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several macroeconomic and public governance variables. Our results point to a good performance of the estimated models, across agencies and across the time dimension, as well as a good overall prediction power. Relevant explanatory variables for a country's credit rating are: GDP per capita, GDP growth, government debt, government effectiveness indicators, external debt, external reserves, and default history.
关键词：credit ratings; sovereign debt; rating agencies; panel data; random effects;ordered probit